After you've left the police station, you'll be contacted by Pritchard to go see Jenny Alexander. Head to the Grand River Road which is between the police station and your apartment the Chiron Building. Jenny is leaning against the wall dressed as a prostitute. She'll give you a few tasks and once you've completed them you'll need to meet Jack O'Malley.
Once you've spoken to him, you'll then be given another task to take out a gang. Just make sure you don't get spotted or kill anyone. Once everything has been done and you've proven that O'Malley is guilty to Jenny, you'll need to head to his apartment. Once you've arrived this is where you'll need to make your save.
Head over to O'Malley and start to talk to him. When given the choice, either choose to accept his bribe or take him in. Either choice does not matter here, so feel free to pick. Be warned, if you choose to take him in, he'll pull a gun out on you, so be ready with your stun gun or a takedown. Either way, once you've made a choice, head back to Jenny to complete the mission. Then reload your save and choose the other option.